巴黎银行-新兴市场-投资策略-巴西：扩大我们现有的长期BRL-20190704-6页_551kb

Summary of EM STRATEGY: Brazil - Increasing Long BRL Position

Core Content

This document outlines the strategy of increasing the long position in the Brazilian Real (BRL) against the Euro (EUR) as part of the EM STRATEGY initiative. The decision is based on a favorable gap between the short- and long-term models, and a supportive scenario for emerging markets (EM). The strategy involves using Non-Deliverable Forward (NDF) contracts to increase exposure, with a focus on the EUR/USD carry trade and the current favorable valuation of the USDBRL exchange rate.

Main Points

• Current Position: The strategy currently holds a long BRL position against the EUR.
• Position Increase: The allocation has been increased from EUR27mn to EUR37mn, with a cumulative increase of EUR17mn since the initial trade.
• Entry Points:
  • Initial entry: EUR10mn at 4.473 on 23 April.
  • First increase: EUR7mn at 4.540 on 23 May.
  • Second increase: EUR10mn at 4.382 on 19 June.
  • Current NDF rate: 4.3345 (maturity: 18-Sep-19, spot reference: 4.2824).
• Carry: The carry is positive at 41 basis points per month.
• Profit and Loss (PnL): The strategy has generated a PnL of +USD1.0mn so far.
• Rationale: The current USDBRL rate of 3.80 is viewed as an attractive entry point due to the wide gap between the market and the short-term fair value model, indicating the BRL is oversold.

Key Information

• Funding Strategy: The position is funded using euros to maximize the carry benefit.
• Model Comparison: The strategy is based on the divergence between the short-term and long-term models, suggesting potential for future appreciation of BRL.
• Market Conditions: The strategy is supported by the current market conditions and is considered a favorable opportunity in the EM context.
• Risk Considerations: The document highlights that the strategy involves a high degree of risk and is not suitable for all investors. It also notes that the strategy may involve conflicts of interest, and that the information provided is not investment advice.

Legal and Regulatory Disclaimers

• Non-Independent Research: The document is non-independent research and is considered a marketing communication under MiFID II.
• Confidentiality: The information is provided on a strictly confidential basis and may not be copied, reproduced, or distributed without prior written consent.
• Disclaimer of Liability: BNPP and its affiliates disclaim any liability for the accuracy or completeness of the information, and for any use of the indicative prices or the strategy.
• Performance Data: The performance data included in the document is based on simulations and is not indicative of future results.
• Jurisdictional Restrictions: The document is intended for certain professional clients and may not be available in all jurisdictions or to all types of investors.
• Legal Disclaimer: The document does not constitute an offer to sell or issue any financial instrument, nor is it a solicitation of an offer to buy any financial instrument.

Conclusion

The EM STRATEGY is focused on increasing the long BRL position against the EUR, using NDF contracts, with the expectation of capital appreciation and carry benefit. The strategy is based on the current market conditions and model analysis, and is intended for professional clients. The document includes important disclaimers regarding the nature of the information, potential conflicts of interest, and the risks involved in the strategy.